Second-order weak approximations for Stratonovich stochastic differential equations

DOI10.1007/BF02333416zbMath0839.60057MaRDI QIDQ1901198

Vigirdas Mackevičius

Publication date: 7 November 1995

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationsRunge-Kutta type weak approximations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99)

Related Items

On weak approximations of \((a, b)\)-invariant diffusions, Runge-Kutta methods for Stratonovich stochastic differential equation systems with commutative noise., On Runge-Kutta-type methods for two-dimensional stochastic differential equations, Second order weak Runge-Kutta type methods for Itô equations, On weak approximations of CIR equation with high volatility, Issues in the Software Implementation of Stochastic Numerical Runge–Kutta

Cites Work

• A survey of numerical methods for stochastic differential equations
• Stochastic differential equations and stochastic flows of diffeomorphisms
• Weak Approximation of Solutions of Systems of Stochastic Differential Equations
• A Method of Second-Order Accuracy Integration of Stochastic Differential Equations
• Numerical Treatment of Stochastic Differential Equations
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